Numerical method for backward stochastic differential equations

• 成果类型: Article
• 署名作者: Ma, J; Protter, P; San Martín, J; Torres, S
• 署名单位: Purdue University System; Purdue University; Cornell University; Universidad de Chile; Universidad de Valparaiso
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• 发表日期: 2002
• 页码: 302-316
• 关键词: filtration; STABILITY

摘要

We propose a method for numerical approximation of backward stochastic differential equations. Our method allows the final condition of the equation to be quite general and simple to implement. It relies on an approximation of Brownian motion by simple random walk.